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by JasmeetGujral
June 19th, 2018, 1:09 am
Forum: Numerical Methods Forum
Topic: Longstaff Schwartz method
Replies: 5
Views: 31642

Re: Longstaff Schwartz method

@yhilpisch: Need help in debugging my code for LSM. With the current code, my value of American option is lower than European option. def option_payoff(self, stimulated_price):         temp_zeros = np.zeros_like(stimulated_price)         return np.maximum(self.option_flag * (stimulated_price - self....
by JasmeetGujral
June 18th, 2018, 3:06 pm
Forum: Programming and Software Forum
Topic: Pyfin, basic option pricing in Python
Replies: 5
Views: 8473

Re: Pyfin, basic option pricing in Python

Trying to replicate pyfin code in python for longstaff schwartz. But getting incorrect results - American option values lower than European. Could someone please guide what I am possibly missing. Code below:      def option_payoff(self, stimulated_price):         temp_zeros = np.zeros_like(stimulate...